Empirical scaling relations of market event rates in foreign currency market
H. Takayasu and
Physica A: Statistical Mechanics and its Applications, 2018, vol. 509, issue C, 1152-1161
The mechanism of order book dynamic is studied by using ultra high frequency data in terms of three market events: injection, cancellation, and transaction. We analyzed the empirical decision-making process of market participants focusing on the event rates conditional on the depth from the mid-price. We observed that both injection and cancellation rates depend on the market depth with exponential decay near the mid-price, which is different from the conventional assumption of the homogeneous Poisson process for the order book formation. We also found scaling relations between injection, cancellation, transaction, and diffusion of the mid-price, highlighting the correlation between these market events. We finally discussed a theoretical model based on our findings to reproduce the empirical order-book profiles.
Keywords: Cancellation order; Econophysics; Foreign currency market; Limit order book; Market microstructure; Order placement (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:509:y:2018:i:c:p:1152-1161
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().